Title: Estimation and decomposition of downside risk for portfolios with non-normal returns
Authors: Boudt, Kris ×
Peterson, B.
Croux, Christophe #
Issue Date: 2008
Publisher: Risk Waters Group
Series Title: The Journal of Risk vol:11 issue:2 pages:79-103
Abstract: We propose a new estimator for Expected Shortfall that uses asymptotic expansions to account for the asymmetry and heavy tails in financial returns. We provide all the necessary formulas for decomposing estimators of Value at Risk and Expected Shortfall based on asymptotic expansions and show that this new methodology is very useful for
analyzing and predicting the risk properties of portfolios of alternative investments.
ISSN: 1465-1211
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Center Finance, Leuven
Faculty of Economics and Business (FEB) - miscellaneous
Department of Financial Management, Campus Carolus Antwerp
× corresponding author
# (joint) last author

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